volatility clustering and mean reversion are very well known properties that one could use when trading. Traders, especially in options world, do take realized vol into account (e.g. by forecasting it ...
Looking at futures data I am trying to calculate/estimate the number of "day trades", i.e. positions that were initiated and closed during the same day, as distinct from those positions that were ...
I am trying to create an approximation of the Accumulation/Distribution Rating using the Chaikin Money Flow Persistance indicator. I have the Chaikin Money Flow Formula as below, could anyone assist ...